Commodities Strategy Correlations

RYMEX Fund

USD 29.33 0.38 1.28%

The current 90-days correlation between Commodities Strategy and Basic Materials Fund is 0.34 (i.e., Weak diversification). The correlation of Commodities Strategy is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Commodities Strategy Correlation With Market

Significant diversification

The correlation between Commodities Strategy Fund and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Commodities Strategy Fund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with Commodities Mutual Fund

0.67	RYBCX	Basic Materials	Pair Corr
0.67	RYBAX	Basic Materials	Pair Corr
0.67	RYBMX	Basic Materials	Pair Corr
0.67	RYBIX	Basic Materials	Pair Corr
0.67	RYEAX	Energy Fund Class	Pair Corr
0.67	RYECX	Energy Fund Class	Pair Corr

Moving against Commodities Mutual Fund

0.49	RYACX	Inverse Nasdaq 100	Pair Corr
0.49	RYAIX	Inverse Nasdaq 100	Pair Corr
0.49	RYALX	Inverse Nasdaq 100	Pair Corr
0.49	RYAPX	Inverse Nasdaq 100	Pair Corr
0.46	RYARX	Inverse Sp 500	Pair Corr
0.43	RYAGX	Inverse Mid Cap	Pair Corr
0.41	RYABX	Government Long Bond	Pair Corr
0.49	RYCDX	Rydex Inverse Nasdaq Potential Growth	Pair Corr
0.46	RYCBX	Inverse Sp 500	Pair Corr
0.43	RYCLX	Inverse Mid Cap	Pair Corr
0.41	RYCGX	Government Long Bond	Pair Corr
0.41	RYCAX	Consumer Products	Pair Corr
0.41	RYCPX	Consumer Products	Pair Corr
0.41	RYCIX	Consumer Products	Pair Corr
0.4	RYCWX	Inverse Dow 2x	Pair Corr
0.31	RYCQX	Inverse Russell 2000	Pair Corr

Related Correlations Analysis

	RYBCX	RYBAX	RYBKX	RYBMX	RYBHX	RYBIX	RYBOX	RYABX	RYACX	RYALX
RYBCX		1.0	0.37	1.0	0.65	1.0	-0.13	-0.53	-0.74	-0.74	RYBCX
RYBAX	1.0		0.38	1.0	0.65	1.0	-0.14	-0.55	-0.75	-0.75	RYBAX
RYBKX	0.37	0.38		0.38	0.79	0.39	-0.46	-0.84	-0.8	-0.8	RYBKX
RYBMX	1.0	1.0	0.38		0.65	1.0	-0.14	-0.54	-0.75	-0.75	RYBMX
RYBHX	0.65	0.65	0.79	0.65		0.66	-0.25	-0.67	-0.91	-0.91	RYBHX
RYBIX	1.0	1.0	0.39	1.0	0.66		-0.14	-0.55	-0.75	-0.75	RYBIX
RYBOX	-0.13	-0.14	-0.46	-0.14	-0.25	-0.14		0.55	0.35	0.34	RYBOX
RYABX	-0.53	-0.55	-0.84	-0.54	-0.67	-0.55	0.55		0.8	0.8	RYABX
RYACX	-0.74	-0.75	-0.8	-0.75	-0.91	-0.75	0.35	0.8		1.0	RYACX
RYALX	-0.74	-0.75	-0.8	-0.75	-0.91	-0.75	0.34	0.8	1.0		RYALX
	RYBCX	RYBAX	RYBKX	RYBMX	RYBHX	RYBIX	RYBOX	RYABX	RYACX	RYALX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

RYBAX	+ 1.0	RYBCX
RYBMX	+ 1.0	RYBCX
RYBIX	+ 1.0	RYBCX
RYBMX	+ 1.0	RYBAX
RYBIX	+ 1.0	RYBAX
RYBIX	+ 1.0	RYBMX

High negative correlations

RYALX	- 0.91	RYBHX
RYACX	- 0.91	RYBHX
RYABX	- 0.84	RYBKX
RYALX	- 0.8	RYBKX
RYACX	- 0.8	RYBKX
RYALX	- 0.75	RYBIX

Risk-Adjusted Indicators

There is a big difference between Commodities Mutual Fund performing well and Commodities Strategy Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Commodities Strategy's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
RYBCX	0.79	(0.03)	(0.05)	0.08	0.90	(0.87)	1.73	(1.38)	4.88
RYBAX	0.79	(0.03)	(0.05)	0.09	0.90	(0.87)	1.71	(1.38)	4.87
RYBKX	1.12	0.07	0.16	0.16	0.80	(1.44)	2.58	(1.99)	12.77
RYBMX	0.79	(0.03)	(0.05)	0.09	0.90	(0.87)	1.71	(1.38)	4.88
RYBHX	0.84	(0.03)	0.00	0.10	0.98	(0.87)	1.84	(1.38)	6.10
RYBIX	0.79	(0.03)	(0.05)	0.09	0.90	(0.87)	1.72	(1.37)	4.89
RYBOX	0.79	(0.19)	0.00	(0.10)	0.00	0.00	1.41	(1.75)	6.21
RYABX	0.73	(0.10)	0.00	0.41	0.00	0.00	1.55	(1.83)	5.15
RYACX	0.77	0.03	0.00	0.09	0.00	0.00	2.43	(1.55)	5.90
RYALX	0.77	0.04	0.00	0.08	0.00	0.00	2.45	(1.54)	5.90

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